They have the cash in their account and nobody lent them the shares so there is nobody to pay for the loan of the stock.

If you are a buyer you don't know that what you bought came from a naked short sale, and you don't know that the shares were never delivered either, but you still paid in full to the seller in T+3 as usual. Somebody gets the interest on the proceeds of the sale and it isn't you, the buyer, or the lender of the stock, who doesn't exist, so the only person left is the seller or his broker neither of whom has put up a single share or a red cent in this transaction.